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My Life as A Quant: Reflections on Physics and Finance

Emanuel Derman
Born c. 1945 (age 72–73)
Cape Town, South Africa
Residence New York City, United States
Citizenship United States
Alma mater Columbia University
University of Cape Town
Known for Financial Modelers' Manifesto
Black–Derman–Toy model
Local volatility
Derman–Kani model
Awards 2000 Financial Engineer of the Year
Scientific career
Fields particle physics, financial engineering
Institutions Goldman Sachs
Salomon Brothers
Columbia University
Doctoral advisor Norman Christ

Emanuel Derman (born c. 1945) is a South African-born academic, businessman and writer. He is best known as a quantitative analyst, and author of the book My Life as a Quant: Reflections on Physics and Finance.

He is a co-author of Black–Derman–Toy model, one of the first interest-rate models, and the Derman–Kani local volatility or implied tree model, a model consistent with the volatility smile.

Derman, who first came to the U.S. at age 21, in 1966, is currently a professor at Columbia University and Director of its program in financial engineering. Until recently he was also the Head of Risk and a partner at KKR Prisma Capital Partners, a fund of funds. His book My Life as a Quant: Reflections on Physics and Finance, published by Wiley in September 2004, was one of Business Week's top ten books of the year for 2004. In 2011, he published "Models.Behaving.Badly," a book contrasting financial models with the theories of hard science, and also containing some autobiographical material.

Derman obtained a B.Sc. (Hons) at the University of Cape Town, and received a Ph.D. in theoretical physics from Columbia in 1973, where he wrote a thesis that proposed a test for a weak-neutral current in electron-hadron scattering. This experiment was carried out at SLAC in 1978 by a team led by Charles Prescott and Richard Taylor, and confirmed the Weinberg–Salam model. Between 1973 and 1980 he did research in theoretical particle physics at the University of Pennsylvania, the University of Oxford, Rockefeller University and the University of Colorado at Boulder. From 1980 to 1985 he worked at AT&T Bell Laboratories, where he developed computer languages for business modeling applications.


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